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dc.contributor.authorMoosa, I.
dc.contributor.authorBurns, Kelly
dc.date.accessioned2017-01-30T11:47:44Z
dc.date.available2017-01-30T11:47:44Z
dc.date.created2015-09-14T20:00:46Z
dc.date.issued2013
dc.identifier.citationMoosa, I. and Burns, K. 2013. The Monetary Model of Exchange Rates is Better than the Random Walk in Out-Of-Sample Forecasting. Applied Economics Letters. 20 (14): pp. 1293-1297.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/15067
dc.identifier.doi10.1080/13504851.2013.799753
dc.description.abstract

It is demonstrated that the monetary model of exchange rates is better than the random walk in out-of-sample forecasting if forecasting accuracy is measured by metrics that take into account the magnitude of the forecasting errors and the ability of the model to predict the direction of change. It is suggested that such a metric is the numerical value of the Wald test statistic for the joint coefficient restriction implied by the line of perfect forecast. The results reveal that the monetary model outperforms the random walk in out-of-sample forecasting for four different exchange rates.

dc.publisherRoutledge
dc.subjectrandom walk
dc.subjectforecasting
dc.subjectmonetary model
dc.subjectdirection accuracy
dc.titleThe Monetary Model of Exchange Rates is Better than the Random Walk in Out-Of-Sample Forecasting
dc.typeJournal Article
dcterms.source.volume20
dcterms.source.number14
dcterms.source.startPage1293
dcterms.source.endPage1297
dcterms.source.issn1350-4851
dcterms.source.titleApplied Economics Letters
curtin.accessStatusFulltext not available


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